Forward-backward stochastic differential equations driven by G-Brownian motion

2021/04/14 by Huan Lü, Lu, Huan, Yongsheng Song +1
Economics, Econometrics and Finance · Mathematics · Social Sciences · #Analysis of PDEs (math.AP) #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2104.06868

openalex publication_date 2021/04/14 · openalex created_date 2021/04/26 · openalex updated_date 2026/07/28

Abstract

In this paper, we study the existence and uniqueness of solutions to the fully coupled nonlinear forward-backward stochastic differential equations driven by G-Brownian motion. Assuming that the diffusion coefficient σ is uniformly elliptic and all coefficients are differentiable, combining the results of fully nonlinear PDEs, we prove the existence and uniqueness of solutions to these equations.

Citations

• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

Related

• Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition
• An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by G-Brownian motion
• Stability theorems for stochastic differential equations driven by G-Brownian motion
• On the solvability of forward-backward stochastic differential equations\n driven by Teugels Martingales
• Fully coupled forward-backward stochastic differential equations driven by sub-diffusions